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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.

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Level Crossing Times in Mathematical Finance

Osei, Ofosuhene 01 May 2013 (has links) (PDF)
Level crossing times and their applications in finance are of importance, given certain threshold levels that represent the "desirable" or "sell" values of a stock. In this thesis, we make use of Wald's lemmas and various deep results from renewal theory, in the context of finance, in modelling the growth of a portfolio of stocks. Several models are employed .
level crossing
math finance
crossing times
wald's applications
wald's lemma
crossing times models
Mathematics
Other Physical Sciences and Mathematics
Other Statistics and Probability
Portfolio and Security Analysis

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